自适应多因子模型的时不变系数检验
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
摘要：
本文的目的是检验自适应多因子（AMF）模型估计的β系数的时不变性。广义套利定价理论（GAPT）隐含了AMF模型，该理论隐含了恒定的贝塔系数。AMF模型利用分组可解释基础选择（GIBS）算法从所有交易的ETF中识别相关因素。我们比较了AMF模型与Fama-French 5-factor（FF 5）模型。我们发现，几乎所有的时间段长度小于6年，β系数是时不变的AMF模型，但不是FF 5模型。这意味着带有滚动窗口（如5年）的AMF模型比FF 5模型更符合已实现的资产回报。
英文摘要：
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized arbitrage pricing theory (GAPT), which implies constant beta coefficients. The AMF model utilizes a Groupwise Interpretable Basis Selection (GIBS) algorithm to identify the relevant factors from among all traded ETFs. We compare the AMF model with the Fama-French 5-factor (FF5) model. We show that for nearly all time periods with length less than 6 years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model. This implies that the AMF model with a rolling window (such as 5 years) is more consistent with realized asset returns than is the FF5 model.
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